Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0333 |
| Annualized Std Dev | 0.4191 |
| Annualized Sharpe (Rf=0%) | -0.0795 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3709.0000 |
| NAs | 1.0000 |
| Minimum | -0.3687 |
| Quartile 1 | -0.0129 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0134 |
| Maximum | 0.2192 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0007 |
| Stdev | 0.0264 |
| Skewness | -0.4711 |
| Kurtosis | 16.4860 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0189 |
| Gain Deviation | 0.0187 |
| Loss Deviation | 0.0198 |
| Downside Deviation (MAR=210%) | 0.0233 |
| Downside Deviation (Rf=0%) | 0.0188 |
| Downside Deviation (0%) | 0.0188 |
| Maximum Drawdown | 0.9096 |
| Historical VaR (95%) | -0.0377 |
| Historical ES (95%) | -0.0598 |
| Modified VaR (95%) | -0.0378 |
| Modified ES (95%) | -0.0472 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-24 | 2020-03-23 | NA | -0.9096 | 1698 | 1447 | NA |
| 2008-06-24 | 2008-11-20 | 2013-10-17 | -0.6776 | 1340 | 106 | 1234 |
| 2006-08-10 | 2006-10-03 | 2006-11-29 | -0.1738 | 78 | 38 | 40 |
| 2007-11-07 | 2008-01-23 | 2008-02-20 | -0.1539 | 71 | 52 | 19 |
| 2007-06-19 | 2007-08-28 | 2007-10-09 | -0.1517 | 79 | 50 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 1.3 | 1.5 | 1.2 | 0 | -1.8 | 0.4 | -1.2 | 1.3 |
| 2007 | 0.4 | 0.2 | -0.6 | 0.6 | 1.1 | 0.6 | 0.5 | 1.5 | 1.4 | -2.2 | 0.2 | -1.1 | 2.7 |
| 2008 | 2.2 | -2.3 | 1.3 | -1.7 | 2.8 | 1.1 | 1 | -0.8 | -3.2 | 1.4 | -11.7 | 1.5 | -9 |
| 2009 | -1.6 | -1.8 | 3.7 | 4.7 | 5.9 | 0 | 1 | -2 | -4 | -5.1 | 1.8 | -1 | 0.9 |
| 2010 | 4.3 | 1.5 | 2.8 | -0.1 | -3.8 | -1.2 | -0.4 | 3.4 | 1.1 | 1.4 | 2.4 | 0.2 | 12 |
| 2011 | 1 | -2.9 | 0.5 | 1.9 | -3.3 | 1.5 | 0.3 | -1.5 | -4 | -3.5 | -0.6 | 0 | -10.2 |
| 2012 | 0 | 1.7 | 0.5 | 1.1 | -5.1 | 4 | 0.2 | 1.3 | 0.9 | 1.1 | -0.5 | 2.8 | 8 |
| 2013 | 1 | -0.1 | -1.1 | -2.2 | -2.1 | 0.8 | 2.8 | -0.6 | 2 | -0.6 | -0.4 | 1 | 0.3 |
| 2014 | -0.7 | 0.8 | 0.6 | -1.1 | -1 | -0.2 | -2 | 1.3 | -2.9 | 2.9 | -1.9 | -0.2 | -4.6 |
| 2015 | 2.2 | -1.4 | -2.9 | -0.6 | -0.7 | -3.2 | -2.3 | -5.3 | 1.4 | 1.3 | 0.8 | 2.4 | -8.3 |
| 2016 | -3.4 | 2.4 | -1.7 | -0.4 | 1.1 | 1.7 | -4.4 | -0.4 | 1.9 | 0.3 | 0.3 | -0.6 | -3.2 |
| 2017 | -0.7 | 2.7 | 1.4 | -0.2 | 1.4 | 0.7 | -0.7 | 1.5 | -0.3 | 3 | 2 | -1.2 | 9.7 |
| 2018 | 0.5 | 1 | 2.8 | -0.5 | -0.2 | 0.3 | -1.6 | -0.7 | 1 | 2 | -1.4 | 0.6 | 3.9 |
| 2019 | 0.5 | 2.1 | 1.4 | -3.2 | -2.1 | -0.2 | -6.2 | -1.8 | -3.6 | 3.5 | -2.4 | 1.5 | -10.5 |
| 2020 | -2.4 | 3.7 | -5.7 | -8 | 2.9 | -2.9 | -0.1 | -0.3 | -3.3 | -0.2 | -0.5 | -1.4 | -17.2 |
| 2021 | 2 | 2.8 | 2.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-22 138. SPY 124. -4.40e-3 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
2 2006-06-23 146. SPY 124. -2.00e-4 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
3 2006-06-27 148. SPY 124. -8.60e-3 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
4 2006-06-28 150. SPY 125. 6.80e-3 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
5 2006-06-29 154. SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
6 2006-06-30 156. SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
